A note on costs minimization with stochastic target constraints

Yan Dolinsky, Benjamin Gottesman, Ori Gurel-Gurevich

Research output: Contribution to journalArticlepeer-review

1 Scopus citations


We study the minimization of the expected costs under stochastic constraint at the terminal time. The first and the main result says that for a power type of costs, the value function is the minimal positive solution of a second order semi-linear ordinary differential equation (ODE). Moreover, we establish the optimal control. In the second example we show that the case of exponential costs leads to a trivial optimal control.

Original languageAmerican English
Article number11
JournalElectronic Communications in Probability
StatePublished - 2020

Bibliographical note

Publisher Copyright:
© 2020, Institute of Mathematical Statistics. All rights reserved.


  • Backward stochastic differential equations
  • Optimal stochastic control


Dive into the research topics of 'A note on costs minimization with stochastic target constraints'. Together they form a unique fingerprint.

Cite this